The Hillerød Posten story has a reader comment
Denne helikopter filmede også inde på Amager den samme morgen....
that google translates to:
This helicopter also filmed in the Amager that morning ....
As best I can tell, Amager probably refers to a large island in the south of Denmark, 40-50 miles southeast of Hillerød. The southern portion of Copenhagen is on that island, but there are also other towns as well as Copenhagen airport and a bridge to Sweden. I'd guess that if the report is true, they were probably doing something along the Copenhagen harbor area. At a quick glance, most of the Copenhagen tourist sites appear to be the mainland, not on Amager island.